SANTOS, Carlos; OLIVEIRA, Maria Alberta - In: Applied Econometrics and International Development 7 (2007) 1
In this paper, we build a model for the yield curve in Germany, from 1975 to 2001, and use it to test the Lucas Critique. We provide a first application of the new general-to-specific automatic model selection algorithm embodied in PcGets to term structure odeling, and use new super exogeneity...